How do you make custom shapes?
That's more or less how it's done. You model them, starting from a primitive. 

For example, to make a bullet you might start with a cylinder or circle (ShiftA>Mesh) and then extrude (E) and scale (S) to top ring repeatedly, finally merging it into a single vertex (AltM):




Note that you must be in Edit mode in order to edit the underlying geometry of an object (you can toggle edit mode quickly with Tab).

For more complex models, you might use a different primitive. For example, most round objects (e.g. bowl) can be started with a circle, while for a more free-form object you might use a plane or even a single vertex:





This is a rather sloppy example, especially as I could have used a circle as the starting mesh, but I think you get the idea.



There are many great tutorials on modeling in blender (look around on youtube etc.), here's a list of some good resources.

Another thing you can do is watch modeling time-lapses like this one.